Hi,
There are lots of ways to achieve this. One is to create an oscillator circuit, commonly done with one or more 555 timers. Google "555 siren" and you'll find hundreds of examples, like
this collection of sirens and alarms based on 555 timersOf course you can also do this with the Arduino, by varying the frequency of a square wave output to an Arduino pin, which is then connected to a speaker. Googling "Arduino siren" results in pages of such projects. You can get this effect commonly using
analogWrite on a PWM capable pin, or the
tone() function on most Arduino pins.
Enjoy

Geoff